Stress-testing
Citi sees sevenfold spike in derivs exposure cash outflows amid data upgrade
FX data enhancement triggers record-breaking projected cashflows, but net position remains largely unchanged
Margin standards are here – and clearing firms aren’t happy
Clearing members complain that latest transparency proposals would force them to act as middlemen by providing margin simulation tools for clients
Buffer stop: Eurex clearing members shunt default fund
Clearing house’s CRO says both members and clients opt to pay more margin instead
Bank of England mustering unit to model system-wide stresses
Permanent team at UK supervisor will work on buy- and sell-side interactions
Transforming stress-testing with AI
Firms can update their stress-testing capability by harnessing automated scenario generation, says fintech advocate
The effects of climate transition risk on an investment portfolio
The author proposes a means to value portfolios under a climate transition stress test, showing which sectors are likely to be more severely impacted by a transition to a net-zero economy.
Thirteen EU banks face loan losses of more than 16% from green switch
Climate stress test predicts overall bank losses of 6%, rising to 11% under adverse scenarios
We will shock you: a coherent Bayesian approach for stress testing
The authors propose a novel coherent Bayesian stress test method which preserves the mathematical properties of the risk measures.
Fed stress-testing operational readiness of discount window
Experts say consultation on improved ops should be accompanied by focus on willingness to borrow
Investment house of the year: BlackRock
Risk Awards 2025: World’s largest investor is undergoing its biggest transformation in more than a decade
August’s volatility thunderbolt rattles risk managers
Investment firms mull changes to value-at-risk models after never-before-seen spike in volatility index
Climate stress tests are cold comfort for banks
Flaws in regulators’ methodology for gauging financial impact of climate change undermine transition efforts, argues modelling expert
SGX-DC’s prefunded resources short of stressed losses 37 days in Q2
Latest round of shorftalls linked to double-member default lay bare lack of Cover 2 requirement
Estimated stress losses at CME, Eurex and LCH surge to record high
Latest projections likely behind increases in contributions to CCPs’ default funds in Q2
The post-Archegos risk model rebuild begins… slowly
Following regulatory prodding, banks start to overhaul counterparty risk models. A flurry of new research on the topic may aid the effort
Fed hikes stress capital buffers for 18 US banks
Nine dealers face record-high SCBs as poor performance in latest DFAST weighs on capital requirements
Progress on US banks’ EVE transparency grinds to a halt
No additional disclosures of key metric linked to SVB collapse in latest round of public filings
Why was Archegos worse than the Fed’s five-fund stress test?
Some believe Credit Suisse was an outlier, but others say the CCAR results underestimated risks
US banks’ stress test accuracy worsens in DFAST 2024
Gap between Fed’s and large dealers’ projections widens to six-year high
Op Risk Benchmarking 2024: the G-Sibs
Eleven large banks feature in round II, with new data points on first-line risk teams, taxonomies and AI adoption
Fed urged to introduce annual high-rate stress tests
Results of debut scenario were reassuring, but regulators cannot lower their guard